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Portfolio diversification effects and regular variation in financial data

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Portfolio diversification effects and regular variation in financial data

Hyung, Namwon; Vries, Casper G. de - In: Allgemeines statistisches Archiv : AStA ; journal of … 86 (2002) 1, pp. 69-82

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Portfolio diversification effects of downside risk

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The Downside Risk of Heavy Tails Induces Low Diversification

Hyung, Namwon - 2010

Actual portfolios contain fewer stocks than are implied by standard financial analysis that balances the costs of diversification against the benefits in terms of the standard deviation of the returns. Suppose a safety first investor cares about downside risk and recognizes the heavy tail...

Persistent link: https://www.econbiz.de/10013138700